Cognitive impairment is one of the most significant burdens among the many neurological complaints in multiple sclerosis patients. Cognitive deficits negatively impact these patients’ quality of life, leading to partial or total loss of several mental functions, such as learning, memory, perception, or problem-solving. While the precise mechanisms involved in the onset and evolution of cognitive decline remain unknown, several risk factors have been associated with intellectual disability. With increasing data on this topic in recent years, the main aim of this review is to summarize the most relevant risk factors correlated with cognitive impairment in multiple sclerosis patients. Firstly, the authors demonstrate the importance of mental disability based on epidemiological data from multiple sclerosis patient cohorts. Subsequently, the intensely debated major risk factors for cognitive decline are discussed, with brief insights into the pathophysiology and possible underlying mechanisms. Finally, the authors describe the impact of medication on cognitive impairment in multiple sclerosis patients, highlighting the main research directions for future studies.